The new digital revolution of big data is deeply changing our capability of understanding society and forecasting the outcome of many social and economic systems. Unfortunately, information can be very heterogeneous in the importance, relevance, and surprise it conveys, affecting severely the predictive power of semantic and statistical methods. Here we show that the aggregation of web users' behavior can be elicited to overcome this problem in a hard to predict complex system, namely the financial market. Specifically, our in-sample analysis shows that the combined use of sentiment analysis of news and browsing activity of users of Yahoo! Finance greatly helps forecasting intra-day and daily price changes of a set of 100 highly capitalized US stocks traded in the period 2012-2013. Sentiment analysis or browsing activity when taken alone have very small or no predictive power. Conversely, when considering a news signal where in a given time interval we compute the average sentiment of the clicked news, weighted by the number of clicks, we show that for nearly 50% of the companies such signal Granger-causes hourly price returns. Our result indicates a "wisdom-of-the-crowd" effect that allows to exploit users' activity to identify and weigh properly the relevant and surprising news, enhancing considerably the forecasting power of the news sentiment.

Attention Score in Context

This research output has an Altmetric Attention Score of 35. This is our high-level measure of the quality and quantity of online attention that it has received. This Attention Score, as well as the ranking and number of research outputs shown below, was calculated when the research output was last mentioned on 21 November 2016.

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#336

of 5,062 outputs

Altmetric has tracked 12,984,283 research outputs across all sources so far. Compared to these this one has done particularly well and is in the 96th percentile: it's in the top 5% of all research outputs ever tracked by Altmetric.

So far Altmetric has tracked 140,125 research outputs from this source. They typically receive a lot more attention than average, with a mean Attention Score of 11.9. This one has done particularly well, scoring higher than 93% of its peers.

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